Doesn't even explicitly have to be about chrimbus or winter. What games do you associate with christmas or fond christmas memories?
Parasite Eve is my favorite christmas game in the same way Die Hard is my favorite christmas movie.
Naw, jokes aside, Super Mario Sunshine will always be my "christmas game" because the same year I got a Gamecube as a kid, it also came with SMS (and Wind Waker+the pre-order OoT/Master Quest disc, but I played SMS first - Zelda was more my brother's series in those days). Kinda ironic, but I can just pretend it's for Aussie christmas instead :^)